You mean how to add icon to exe file?
If you use wxdev just open your project, go to project options (Alt + P) and in tab General on the left bottom side you'll see options for adding icon.
I know that seams wow, I'am just wondring if there is a maner to do so ,I did icons for exe using VS and I read that It can be done by some programs but I thought that can be done with programs ,I am not now.